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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

List of Q&A's

Clarification of EBA answer published for Q&A 2014_1000

Q&A 2014_1000 states that there are only two accepted ways in FINREP to report interest income and expenses from financial instruments held for trading, interest income and expenses (“clean price”) or as part of the gains and losses from these assets (“dirty price”), and that for economic hedge there is the possibility to report the amounts separately as financial income or expenses.How should this answer be understood in the case of credit institutions applying “dirty price convention”? The possibility to report the amounts separately as interest income or expenses (mentioned in the last sentence of the answer) envisages only the items “Interest income. Financial assets held for trading” and “Interest expenses. Financial liabilities held for trading”?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Validation rules v1906_h and v1907_h

Do validation rules v1906_h and v1907_h have to be modified?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Treatment of stock futures under Article 390(3) and Article 327(1)

Does a short position on an equity future contract net off against a long position in its underlying equity, considering that the underlying security and the equity are identical, deliverable, quoted on an official exchange and cleared through the corresponding CCP?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Tier 2 instruments issued by a consolidated subsidiary non recognised by a third Authority

When applying Article 87 of Regulation No 575/2013 (CRR), should a Tier 2 instrument issued by a non-EU subsidiary (and subscribed by third parties) be included in the consolidated own funds of the EU-parent company insofar as this instrument is not recognised by the local non-EU Authority?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc): arithmetic mean of monthly data vs. end of quarter data

According to Art. 429.2 CRR (old version), institutions shall calculate the leverage ratio as the simple arithmetic mean of the monthly leverage ratios over a quarter. This requirement is implemented in table C 45.00 in the current LR-reporting which is applicable as long as the new LR-reporting (currently under public consultation, applicable as of Q4/2015 at the earliest) is not yet in place. However, Art. 429 CRR has already been replaced by the delegated act on LR (already in place since 18 January 2015). Now, paragraph 2 of Art. 429 clearly states that “institutions shall calculate the leverage ratio at the reporting reference date” (i.e. only end-of-quarter leverage ratio). Against this background some of our reporting agents raise the question, whether they are still be obliged to submit the exposures on a monthly basis as of Q1/2015, even the new LR-templates are not yet in place.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Risk weight for exposures to unrated institutions

Does Article 121 allow unrated institutions to be assigned government ratings only in the case of a government guarantee for the deposits of that bank? Additionally, does Article 121(3) apply to unrated institutions as well? Does it say that if we have a cash balance in an unrated bank we should assign a risk weight of 20%?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

CR IRB template – inclusion of haircut exposure value

In what column of the Credit Risk IRB templates shall the increase of the exposure value by the haircut exposure value be reported (in column 090, in column 110 or just in column 255 and 260)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Disclosure of the Leverage Ratio

How shall institutions disclose the Leverage Ratio as set out in Art. 451 CRR and the Delegated Regulation (EU) 2015/62, entered into force on the 18 January 2015, while there is no adopted ITS on Disclosure until now?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Removal of Senior Management

We would like clarification on Article 28 of Directive 2014/59/EU (BRRD) envisaging the possibility to remove the senior management and also with regard to individuals. This seems the same power that is already envisaged in Article 27(1)(d) providing for the removal of managers that are unfit to perform their duties albeit linked to a different trigger; therefore different triggers could end up with the same early intervention measures.

  • Legal act: Directive 2014/59/EU (BRRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Counterparty credit risk add-on for repurchase transactions

Is it required to calculate and report this counterparty credit risk add-on also for cash borrowers in repo transactions or for the borrowers in securities lending transactions?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

When should an external rating be considered as a primary factor determining an internal rating assignment

Concerning the practical application of the RTS on materiality: When should an external rating be considered as a 'primary factor' determining an internal rating assignment, and by what measure is the relative importance of the different variables comprising an internal model for credit risk to be evaluated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 529/2014 - RTS on materiality of extensions and changes in the advanced approaches (IRB and AMA)

Requirements for financial collateral (Covered Bonds)

Article 207(2)(2) states that "Securities issued by the obligor, or any related group entity, shall not qualify as eligible collateral. This notwithstanding, the obligor's own issues of covered bonds falling within the terms of Article 129 qualify as eligible collateral when they are posted as collateral for a repurchase transaction, provided that they comply with the condition set out in the first subparagraph". Whereas the first sentence includes securities issued by "any related group entity", the second sentence which acts as the carve out, omits such securities. Is this an intended ommission?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

Other Asset

Should all the accounting based off-settings (here including for example tax assets/ liabilities off-setting) be grossed-up on Other Asset of LR exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Reporting of secured lending if an institution has no possession of the collateral

Does a loan qualify as collateralised lending if the collateral has been pledged by the debtor, but the bank can only use the collateral in the event of a default of the customer or should loans only be seen as collateralised lending if the bank is in possession of the collateral (meaning the collateral is included in the bank’s balance sheet)? What does collateralised by collateral that qualifies as a liquid asset mean? Does it mean that the bank has reported the collateral as High Quality Liquid Assets (HQLA) in the LCR, or does it mean that if the bank will call the collateral in case of a default of the debtor the bank can than report that gained collateral as HQLA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement

Reporting of the Transactions where cash transfers does not occur

We would like to know in cases of transactions wherein stocks/securities are exchanged e.d Stock borrowing and Lending(SBL) transactions , how the stock encumbered and matching liabilities should be reported.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Subordinated loans as Additional Tier 1 capital

Is it possible for a (normal) subordinated loan to qualify as Additional Tier 1 capital according to Article 51 of Regulation (EU) No 575/2013 if all conditions according to Article 52 are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions

F 12.00 - changes of counterparty sector

In FINREP template F 12.00 movements in allowances for credit losses in the current year are reported taking into account the credit loss assessment method and the relevant counterparty sector. It is possible that the counterparty sector changes within the reporting time frame (i.e. from the date of the opening balance in column 010 to the reporting date, that is the date of closing balance in column 070). If this is the case, does the reporting institution take into account the counterparty sector as at the reporting date? Or are such changes reported in column 060 Other adjustments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)

Disclosure requirement

What is the scope, in terms of risk types, of the disclosure requirement under Title VII, paragraph 23b); specifically, does it include Counterparty Credit Risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/14 - Guidelines on materiality, proprietary, confidentiality and disclosure frequency under Pillar 3